Melt butter in heavy large skillet over medium heat. Add leeks and 1/4 cup water; cook until leeks are tender, about 15 minutes. Season leeks with salt; set aside to cool. Bring cream to simmer in medium saucepan over medium heat. Reduce heat to low; add Camembert and stir until melted. Remove from heat and cool 5 minutes. Whisk in egg, cayenne, and nutmeg. Set custard aside.